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Trade recommendations closed for March 2007 expiration.

1. DIA Double Diagonal initiated on 19 Dec 2006

19 Dec:: Initiate position for $0.00
31 Jan: Roll recommendation for $1.20 credit
5 Mar: Close position for $0.80 debit

P&L: +$40per entry
Percentage P&L: 40/200 = 20%

2. DIA Double Diagonal initiated on 25 Jan 2007

25 Jan: Initiate position for $0.25 debit
6 Mar: Close position for $0.25 credit

P&L: 0 per position
Percentage P&L: 0/225 = 0%

3. RUT Iron Condor initiated on 1 Feb 2007

1 Feb: Initiate position for $2.30 credit
5 Mar: Roll down put spread for $1.55 debit
14 Mar: Close position for $0.15 debit

P&L: +$60 per position
Percentage P&L: 60/770 = 7.79%

4. RUT Iron Condor initiated on 12 Feb 2007

12 Feb: Initiate position for $2.00 credit
28 Feb: Close put spread for $1.65 debit
14 Mar: Close call spread for $0.08 debit

P&L: +$27per position

Percentage P&L: 27/800 = 3.38%

Comment

This month's results are not impressive at all but we are glad that our trades made profits nevertheless. All trades showed profit expect for the DIA DD initiated on 25 Jan. We have to terminate this trade prematurely because the market was beyond our short put. We saw no point in rolling this DD into an ITM iron condor. We were hoping to maybe profit slightly by closing but the best we could have done was a breakeven.

This month's results showed the resilience of market-neutral strategies. Even though the market crashed big-time recently, we still managed to show some profit. There is a probability that the market will go nowhere in the coming weeks. Unfortunately, partly due to the increased volatility in the market, we're been very careful with our trades. We currently have 5 open positions, some of which will be closed in the month of April. Let's hope we can make better returns for April.

Yours sincerely,

Gary

Founder, Head Trader of MarketNeutralOptions